The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity

34 Pages Posted: 17 Feb 2015

See all articles by Zeno Adams

Zeno Adams

University of St. Gallen - School of Finance

Roland Füss

University of St. Gallen - School of Finance

Felix Schindler

Steinbeis University Berlin - Center for Real Estate Studies; ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management

Date Written: Spring 2015

Abstract

In this article, we estimate the risk spillovers among 74 U.S. Real Estate Investment Trusts (REITs) using the state‐dependent sensitivity value‐at‐risk approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition. We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity. Our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers and policy makers.

Suggested Citation

Adams, Zeno and Füss, Roland and Schindler, Felix, The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity (Spring 2015). Real Estate Economics, Vol. 43, Issue 1, pp. 67-100, 2015. Available at SSRN: https://ssrn.com/abstract=2566016 or http://dx.doi.org/10.1111/1540-6229.12060

Zeno Adams (Contact Author)

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

Roland Füss

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland
+41 (0)71 224 70 42 (Phone)
+41 (0)71 224 70 88 (Fax)

HOME PAGE: http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx

Felix Schindler

Steinbeis University Berlin - Center for Real Estate Studies ( email )

Berlin
Germany

ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management ( email )

Postfach 103443
Mannheim, D-68034
Germany

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